Thilo Reinschlüssel, Martin C. Arnold
arXiv 26 Feb 2024 · Statistics — Methodology
arXiv:2402.16580 · PDF · DOI · OpenAlex · Extracted main text
We propose a novel approach to elicit the weight of a potentially non-stationary regressor in the consistent and oracle-efficient estimation of autoregressive models using the adaptive Lasso. The enhanced weight builds on a statistic that exploits distinct orders in probability of the OLS estimator in time series regressions when the degree of integration differs. We provide theoretical results on the benefit of our approach for detecting stationarity when a tuning criterion selects the $\ell_1$ penalty parameter. Monte Carlo evidence shows that our proposal is superior to using OLS-based weights, as suggested by Kock [Econom. Theory, 32, 2016, 243-259]. We apply the modified estimator to model selection for German inflation rates after the introduction of the Euro. The results indicate that energy commodity price inflation and headline inflation are best described by stationary autoregressions.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Zou, Hui (2006) The Adaptive Lasso and Its Oracle Properties | 0.928 | 4 | 3 | 100% |
| 2 | Kock, Anders Bredahl (2016) Consistent and conservative model selection with the adaptive lasso in stationary and nonstationary autoregressions | 0.909 | 24 | 5 | 75% |
| 3 | Efron, Bradley, Hastie, Trevor, Johnstone, Iain, Tibshirani, Robert (2004) Least Angle Regression | 0.794 | 8 | 2 | 75% |
| 4 | Herwartz, Helmut, Siedenburg, Florian (2010) A New Approach to Unit Root Testing | 0.737 | 3 | 2 | 100% |
| 5 | Liao, Zhipeng, Phillips, Peter C. B (2015) Automated estimation of vector error correction models | 0.737 | 3 | 2 | 100% |
| 6 | Silverman, Bernard W (1986) Density estimation for statistics and data analysis | 0.737 | 3 | 2 | 100% |
| 7 | Caner, Mehmet, Knight, Keith (2013) An alternative to unit root tests: Bridge estimators differentiate between nonstationary versus stationary models and select opt… | 0.644 | 2 | 2 | 100% |
| 8 | Perron, Pierre, Ng, Serena (1998) An autoregressive spectral density estimator at frequency zero for nonstationarity tests | 0.644 | 2 | 2 | 100% |
| 9 | Schwert, G. William (1989) Tests for Unit Roots: A Monte Carlo Investigation | 0.644 | 2 | 2 | 100% |
| 10 | Tibshirani, Ryan J., Taylor, Jonathan (2011) The solution path of the generalized lasso | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 39 scored citations.